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Tattle-tails: Gauging downside risks using option prices

Staff analytical note 2023-13 Greg Adams, Maksym Tupis
Options markets offer unique insights into the changing risks different assets face, which helps us better understand the broader risks to the Canadian economy. We show how option prices help reveal that investors did not anticipate large downside risks to either major Canadian banks or economic growth during the March 2023 financial sector system stress, a period when policy-makers and investors were unsure of what the future held for Canada’s economy.
June 10, 2002

Summer Consultations

Overview The purpose of these consultations is to obtain market views on issues relating to the design and operation of government debt programs for fiscal 2002/03 and beyond. The fundamental objectives of the federal debt strategy are to provide stable, low-cost funding for the federal government and to maintain and enhance a well-functioning market for […]
June 7, 2018

Establishing a Resolution Regime for Canada’s Financial Market Infrastructures

This report highlights how an effective resolution regime promotes financial stability. It does this by ensuring that financial market infrastructures (FMIs) would be able to continue to provide their critical functions during a period of stress when an FMI’s own recovery measures were failing. The report explains the Bank of Canada’s new role as the resolution authority for FMIs, which will further bolster financial system resilience.
Content Type(s): Publications, Financial System Review articles JEL Code(s): G, G1, G10, G19, G2, G20, G28, G29

Extreme Downside Risk in Asset Returns

Staff working paper 2019-46 Lerby Ergun
Financial markets can experience sudden and extreme downward movements. Investors are highly concerned about the performance of their assets in such scenarios. Some assets perform badly in a downturn in the market; others have milder reactions.
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